LDPD (version 1.1.2)

PTOnePeriodPD: One-period Pluto and Tasche Model

Description

Estimates probability of default according to One-period Pluto and Tasche model.

Usage

PTOnePeriodPD(portf.uncond, portf.def, conf.interval = 0.9)

Arguments

portf.uncond

Unconditional portfolio distribution (e.g. number of counterparts by rating classes).

portf.def

Number of defaults by rating classes.

conf.interval

Confidence interval for PD estimation.

Value

Conditional PDs according to one-period Pluto and Tasche model

Details

Implementation of simple one-period Pluto and Tasche probability of default (PD) calibration model.

References

Pluto, K. and Tasche, D., 2005. Thinking Positively. Risk, August, 72-78.

See Also

PTMultiPeriodPD

Examples

portfolio <- c(10,20,30,40,10)
defaults <- c(1,2,0,0,0)
PTOnePeriodPD(portfolio, defaults, conf.interval = 0.5)